Large-sample asymptotic approximations for the sampling and posterior distributions of differential entropy for multivariate normal distributions

DOI10.3390/E13040805MaRDI QIDQ657559zbMATH OpenOpenAlexFDO

Authors Guillaume Marrelec, Habib Benali

Publication date 9 January 2012

Published in Entropy (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3390/e13040805

zbMATH Keywords

multivariate normal distributionmutual informationsampling distributionasymptotic approximationposterior distributionlarge sampledifferential entropytotal correlationmultiinformationmultivariate constraint

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Measures of information, entropy (94A17)

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Cites work

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• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• Convergence properties of functional estimates for discrete distributions
• Entropy expressions and their estimators for multivariate distributions
• Estimation of Entropy and Mutual Information
• Estimation of the entropy of a multivariate normal distribution
• Information Theoretical Analysis of Multivariate Correlation
• Parametric Bayesian estimation of differential entropy and relative entropy

Cited in

(5)

• Estimation bias in maximum entropy models
• Maximum entropy approximations for asymptotic distributions of smooth functions of sample means
• Edgeworth Approximation of Multivariate Differential Entropy
• Asymptotic Sampling Distribution for Polynomial Chaos Representation from Data: A Maximum Entropy and Fisher Information Approach
• Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions

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